Bucky took full on punches from Iron Man and kept coming, I think you're underrating how tough he is, although maybe not against stabbing weapons - and Nebula, again, shes got the self repair function, but she still feels some effects of impacts, otherwise why block any of Gamora's strikes during their fights?
I believe a full on punch from Bucky's metal arm would at least momentarily damage her.
You're right that the idea of Cap cutting off someone's head is a bit extreme, and probably wouldnt happen under all but the most extreme circumstances.- but he will go a long way to protect Bucky, including giving a close friend, like Tony, a severe beating.
Cap obviously doesn't enjoy killing people, but he aldoesn't nt hesitate to do it when he needs to- he certainly killed a lot of people in WW 2 and even in the Winter Soldier and Civil War he inflicts injuries on goons that would have certainly killed or crippled them.
If Nebula did fatally stab Bucky, I have zero doubt that Cap's response would be immediate lethal force.
Cap also knows Nebula is a cyborg - maybe he wouldn't cut off her head, fair enough. But if she was about to fatally stab Bucky, I have little doubt he'd amputate her arm with his shield.
Anyway, we've probably taken this as far as it can go - would be neat to see an actual fight between those characters though.
Wonder if Nebula will survive Guardians vol 3, because it looks like a few of them won't...